You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.93. Year 2018 2019 2020 2021 2022 Fund -16.409 25.10 13.20 6.20 -1.68 Market -32.50% 20.30 11.80 8.00 -3.20 Jensen's alpha Information ratio Risk-Free 38 34453 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round Intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.

You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.93. Year 2018 2019 2020 2021 2022 Fund -16.409 25.10 13.20 6.20 -1.68 Market -32.50% 20.30 11.80 8.00 -3.20 Jensen's alpha Information ratio Risk-Free 38 34453 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round Intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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